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学术科研

Probability & Statistics Seminar

Stochastic maximum principle under nonlinear expectation

演讲者：胡明尚（山东大学）
时间：2023-06-20 10:40-11:20
地点：理学院大楼M1001

Abstract

In this talk, I first review some recent progress on global stochastic maximum principle for stochastic optimal control problem under g-expectation, and then the progress on stochastic maximum principle for stochastic optimal control problem under G-expectation. For the control problem under g-expectation, we first obtain the first-order and second-order variational equations and adjoint equations for forward-backward stochastic control system. For the control problem under G-expectation, we introduce a new weak convergence method to obtain the derivative for the value function. This is a joint work with Shaolin Ji and Xiaole Xue.